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Stress testing for VaR and CVaR - MaRDI portal

Stress testing for VaR and CVaR (Q5423193)

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scientific article; zbMATH DE number 5203406
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English
Stress testing for VaR and CVaR
scientific article; zbMATH DE number 5203406

    Statements

    title
    Stress testing for VaR and CVaR (English)
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    author
    Jitka Dupačová
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    Jan Polívka
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    publication date
    22 October 2007
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    zbMATH Keywords
    Stochastic programming
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    risk management
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    portfolio optimization
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    linear programming
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    fixed-income markets
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    asset liability modelling
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    dynamic models
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    Identifiers

    zbMATH DE Number
    5203406
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    OpenAlex ID
    W2123304704
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